Withing the first few days of massage school we saw what we called the "touch video." I do not know the name of it, but I think it was from Nova. It visually described how important touch is to being human. If a newborn receives everything he needs except human touch, he will die.
There was an experiment at a corner store in which the checkout clerk would sometimes avoid touching the customer when they gave them change, and sometimes touch them ever so slightly. Outside a census taker would ask them how they rated the store and if the clerk touched them in any way. Those who had been slightly touched said they weren't touched, and their rating of the store was significantly higher than the group that was not touched.
I think massage feels good because humans need touch to survive. Touch heals us and completes us and makes us fully human.